Manager/Senior Manager, Credit Risk Management

KPMG - Montréal, QC (7 months ago)

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Position Summary

We are currently seeking a Manager/Senior Manager with a credit risk profile to join our Financial Risk Management team within our Montreal office. The candidate will offer advisory services in financial modeling and will be working on a wide variety of projects with financial institutions and pension funds.

Role and Responsibilities

You will work closely with the Partner in charge of the Risk Management practice on major projects and will contribute to business development. The chosen candidate will:
Manage projects related to the financial risk management field, pertaining mainly to credit risk management.
Monitor simultaneously several mandates with tight deadlines.
Coordinate the completion of a variety of risk management projects to add value.
Review the analyses and deliverables produced by the execution team to ensure quality.
Write detailed reports setting out the approach, observations and recommendations.
Prepare proposals to meet clients’ business needs.
Make presentations to prospective clients and participate in conferences for business development purposes.
At times, business needs arise and employees are required and agree to work beyond their normal work day or work week to fulfill the accountabilities required for their job. Likewise, people need extra time to devote to personal matters, and our approach to flexibility provides for this.

Skills & Qualifications

Extensive knowledge in Credit risk modelling and management
5-10 years of relevant work experience
Excellent oral and written communication skills.
MSc or PhD in statistics, econometrics, economics, finance or other quantitative field.
Knowledge of financial institutions’ regulatory environment, particularly guidelines and capital standards (Basel Accords).
Development and/or validation of internal rating system models (PD, LGD and EAD) for retail portfolios (credit cards, mortgages, loans, lines of credit) and other portfolios (sovereign, bank, commercial, agriculture, real estate, large corporate).
Advanced technical understanding of modeling techniques and their application in the banking industry including: qualitative response models, survival models, ensemble learning methods for classification and regression, resampling methods, cross-validation methods, stepwise model selection algorithms.
Strong programming skills and proficiency in at least two of the following tools: SAS, R, Matlab, SQL.
Robust project management skills and effective time management
Knowledge of economic capital calculation methodologies.
CFA, FRM, PRM or other risk management related designation.
Counterparty risk management and quantification (CVA, DVA, PFE) would be an asset.
Able to develop and maintain strong business relationships.
Client focus to understand the issues and recommend value-added solutions.
Able to perform well under pressure, manage projects and budgets well.
Initiative, ability to work independently and leadership.
Excellent analytical skills, thoroughness and ability to synthesize.
Available to travel to meet clients, and for project needs.
Bilingual (English and French, spoken and written).